I am assuming this was a tax deferred 401k, not a Roth 401k:
You can roll it to an traditional (rollover) IRA at Fidelity. They have excellent customer service, and their index funds beat Vanguard's in several cases. If you avoid their managed funds and stick with their index funds, Fido is fine to stay with.
Vanguard is the gold standard, but Fido is great too. And their customer service/interface is better in my opinion. And it is just an extra hassle to transfer it out of Fido to Vanguard for no real benefit since Fido is so competitive with them. I get why everyone pushes Vanguard, but there really isn't any good reason to leave Fido if you are okay with them.
https://www.bogleheads.org/wiki/Fidelity^comparison of the Vanguard and Fido funds
I have all my portfolio with Fido, and am very happy there. I do a Boglehead style lazy portfolio containing:
Fidelity Total Market Index Fund (FSTVX)
Fidelity U.S. Bond Index Fund (FSITX)
with a small amount of Fidelity Real Estate Index Fund (FSRVX)
Just contact the rep to walk you through the steps and confirm the exact procedures, but it essentially is like this (I've done this exact thing about 2 years ago):
1. Create a new account as a ROLLOVER IRA (can be done online easily, or contact rep if this seems hard to do).
2. Contact rep to initiate rollover from 401k into the new IRA account.
3. Sell off any/all funds in new account that do not match up with your asset allocation (AA).
4. Buy funds that fit your AA
It's super easy and won't take them very long either. And once you've got the funds in there that you want... you basically forget about it unless you want to contribute to it as a traditional IRA (up to $5,500/per year as long as you have earned income).